ALM 기반 성과평가 지표에 관한 실증분석: 확정급여형 퇴직연금을 중심으로

초록

This study compared and analyzed the traditional Sharpe Ratio, which is an asset-oriented performance evaluation index, and the surplus and funded ratio Sharpe ratios, which are Asset and Liability Management (ALM) based performance evaluation indexes, focusing on the case of occupational defined benefit pension plan. Prior to performance evaluation, a portfolio was calculated to maximize each performance evaluation index based on historical data. The proportion of deposits was the highest in the portfolio maximizing the asset-oriented performance evaluation index, and the proportion of domestic bonds with high correlation with liability was the highest in the portfolio maximizing the ALM-based performance evaluation index. The ALM-based performance evaluation index is considered to be a more desirable indicator for asset management considering liability, which has the primary goal of maintaining and improving the funded ratio. To manage extreme risks, it is desirable to use risk management indicators such as VaR as an auxiliary. To promote an asset management strategy that considers liabilities, an ALM-based performance evaluation index as a relevant assessment indicator must be developed at the same time. This study outlines the usefulness of ALM-based performance evaluation indicators and contributes to the activation of asset management that considers liabilities.

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